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量化金融强化学习论文集合

专知出品

【导读】用于金融市场的AI (RL / DL / SL / Evoluation / Genetic Algorithm)集合。另外，我们在定量金融市场中加入了技术分析/阿尔法研究/套利等有用的策略工具和文档。






地址：

https://github.com/georgezouq/awesome-deep-reinforcement-learning-in-finance#papers


目录：


  • 论文 Papers

  • 课程 Courses

  • 策略 Strategies

  • 交易系统 Trading System

  • 研究工具 Research tools

  • 数据源 Data Sources

  • 教程问答 Tutorials & Docs

  • Exchange API & Docs

  • Other Tools

论文

  • THE THEORY OF SPECULATION L. BACHELIER 1900: The influences which determine the movements of the Stock Exchange are

  • Brownian Motion in the Stock Market Osborne,1959 innumerable. Events past, present or even anticipated, often showing no apparent

  • A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem

  • Reinforcement Learning for Trading 1994

  • Dragon-Kings, Black Swans and the Prediction of Crises Didier Sornette: We develop the concept of “dragon-kings” corresponding to meaningful outliers, which are found to coexist with power laws in the distributions of event sizes under a broad range of conditions in a large variety of systems.

 课程 Courses

  • Overview of Advanced Methods of Reinforcement Learning in Finance

策略与研究 Strategies & Research

AI

Traditional Markets

  • trump2cash: A stock trading bot powered by Trump tweets http://trump2cash.biz

  • Personae: 

    📈

     Personae is a repo of implements and environment of Deep Reinforcement Learning & Supervised Learning for Quantitative Trading.

  • Quantitative-Trading: 

    💸

     Papers and Code Implements for Quantitative-Trading

  • gym-trading: Environment for reinforcement-learning algorithmic trading models

  • zenbrain: A framework for machine-learning bots

  • DeepLearningNotes: Machine Learning in Quant analysis

Portfolio Management

  • qtrader: Reinforcement Learning for Portfolio Management

  • PGPortfolio: PGPortfolio: Policy Gradient Portfolio, the source code of "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem

High Frequency Trading (HFT)

  • SGX-Full-OrderBook-Tick-Data-Trading-Strategy: Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.

  • HFT_Bitcoin: Analysis of High Frequency Trading on Bitcoin exchanges

Crypto Currencies

  • LSTM-Crypto-Price-Prediction: Predicting price trends in cryptomarkets using an lstm-RNN for the use of a trading bot

  • tforce_btc_trader: TensorForce Bitcoin Trading Bot

  • Tensorflow-NeuroEvolution-Trading-Bot: Using tensorflow to build a population of models that trade cyrpto and breed and mutate iteratively

  • gekkoga: Genetic Algorithm for solving optimization of trading strategies using Gekko

  • Gekko_ANN_Strategies: ANN trading strategies for the Gekko trading bot

  • gekko-neuralnet: Neural network strategy for Gekko

  • bitcoin_prediction: This is the code for "Bitcoin Prediction" by Siraj Raval on Youtube

TA

  • Gekko-Bot-Resources: Gekko bot resources.

  • gekko_tools: Gekko strategies, tools etc.

  • gekko RSI_WR: Gekko RSI_WR strategies

  • gekko HL: calculate down peak and trade on

  • EthTradingAlgorithm: Ethereum trading algorithm using Python 3.5 and the library ZipLine

  • gekko_trading_stuff: A dumping ground for my files I use with this awesome crypto currency trading platform

  • forex.analytics: Node.js native library performing technical analysis over an OHLC dataset with use of genetic algorithm

  • Bitcoin_MACD_Strategy: Bitcoin - MACD Crossover Trading Strategy Backtest

  • crypto-signal: Automated Crypto Trading & Technical Analysis (TA) Bot for Bittrex, Binance, GDAX, and more! (250+ coins)

  • Gekko-Strategies: Strategies to Gekko trading bot with backtests results and some useful tools.

  • gekko-gannswing: Gann's Swing trade strategy for Gekko trade bot

Lottery & Gamble

  • LotteryPredict: Use LSTM to predict lottery

Arbitrage

  • ArbitrageBot: Arbitrage bot that currently works on bittrex & poloniex

  • r2: R2 Bitcoin Arbitrager is an automatic arbitrage trading system powered by Node.js + TypeScript.

  • cryptocurrency-arbitrage: A cryptocurrency arbitrage opportunity calculator. Over 800 currencies and 50 markets. https://cryptoworks.co

  • bitcoin-arbitrage: Bitcoin arbitrage - opportunity detector

  • blackbird: Blackbird Bitcoin Arbitrage: a long/short market-neutral strategy

Data Sources

Traditional Markets

  • Tushare:

Crypto Currencies

  • CryptoInscriber: 

    📈

     A live cryptocurrency historical trade data blotter. Download live historical trade data from any cryptoexchange, be it for machine learning, backtesting/visualizing trading strategies or for Quantopian/Zipline.

  • Gekko-Datasets: Gekko Trading Bot dataset dumps. Ready to use and download history files in SQLite format.

Research Tools

  • JAQS: An open source quant strategies research platform.

  • pyfolio: Portfolio and risk analytics in Python https://quantopian.github.io/pyfolio

  • alphalens: Performance analysis of predictive (alpha) stock factors http://quantopian.github.io/alphalens

  • empyrical: Common financial risk and performance metrics. Used by zipline and pyfolio. http://quantopian.github.io/empyrical

  • !!![deprecated]!!: Trade as a fool

  • zvt: zero vector trader(which base on fooltrader)

Trading System (Back Test & Live trading)

Traditional Market

[System]

  • zipline: Zipline, a Pythonic Algorithmic Trading Library http://www.zipline.io/

  • rqalpha: A extendable, replaceable Python algorithmic backtest && trading framework supporting multiple securities http://rqalpha.io

  • backtrader: Python Backtesting library for trading strategies https://www.backtrader.com

  • kungfu: Kungfu Master Trading System

[Combine & Rebuild]

  • pylivetrader: Python live trade execution library with zipline interface.

  • CoinMarketCapBacktesting: This project tests bt(http://pmorissette.github.io/bt) and Quantopian Zipline(https://github.com/quantopian/zipline) as backtesting frameworks for coin trading strategy.

Crypto Currencies

  • gekko: A bitcoin trading bot written in node - https://gekko.wizb.it/

  • zenbot: Zenbot is a command-line cryptocurrency trading bot using Node.js and MongoDB.

  • bot18: Bot18 is a high-frequency cryptocurrency trading bot developed by Zenbot creator @carlos8f https://bot18.net/

  • magic8bot: Magic8bot is a cryptocurrency trading bot using Node.js and MongoDB.

  • catalyst: An Algorithmic Trading Library for Crypto-Assets in Python http://enigma.co

  • QuantResearchDev: Quant Research dev & Traders open source project [BUILDING]

  • MACD: Zenbot Macd Auto-Trader

  • abu: A quant trading system base on python.http://www.abuquant.com/

Plugins

  • easytrader: 提供银河/国金/华泰客户端/同花顺客户端/雪球的基金、股票自动程序化交易以及自动打新，支持跟踪 joinquant /ricequant 模拟交易 和 实盘雪球组合, 量化交易组件

  • CoinMarketCapBacktesting: This project tests bt(http://pmorissette.github.io/bt) and Quantopian Zipline(https://github.com/quantopian/zipline) as backtesting frameworks for coin trading strategy.

  • Gekko-BacktestTool: Batch backtest, import and strategy params optimalization for Gekko Trading Bot. With one command you will run any number of backtests.

TA (Technical Analysis) Lib

  • pandas_talib: A Python Pandas implementation of technical analysis indicators

  • finta: Common financial technical indicators implemented in Python-Pandas (70+ indicators).

  • tulipnode: Tulip Node is the official node.js wrapper for Tulip Indicators. It provides over 100 technical analysis overlay and indicator functions. https://tulipindicators.org

  • techan.js: A visual, technical analysis and charting (Candlestick, OHLC, indicators) library built on D3. http://techanjs.org/

Exchange API

  • HuobiFeeder: Connect HUOBIPRO exchange, get market/historical data for ABAT trading platform backtest/analysis and live trading

  • ctpwrapper: Shanghai future exchange CTP api

Tutorials

ML

  • Reinforcement-learning-with-tensorflow: Simple Reinforcement learning tutorials

  • Algorithm_Interview_Notes-Chinese: Algorithm Interview Notes Chinese

  • Learning-Notes: 

    💡

     Repo of learning notes in DRL and DL, theory, codes, models and notes maybe.

  • Deep-Learning-World: 

    📡

     Organized Resources for Deep Learning Researchers and Developers

  • 100-Days-Of-ML-Code: 100 Days of ML Coding

Quant

AI Framework

  • convnetjs: Deep Learning in Javascript. Train Convolutional Neural Networks (or ordinary ones) in your browser.

  • TensorForce: TensorForce: A TensorFlow library for applied reinforcement learning

  • gym: A toolkit for developing and comparing reinforcement learning algorithms. https://gym.openai.com/

  • Pavlov.js: Reinforcement learning using Markov Decision Processes. For JS, written in C++.

  • baselines: OpenAI Baselines: high-quality implementations of reinforcement learning algorithms

  • prophet: Tool for producing high quality forecasts for time series data that has multiple seasonality with linear or non-linear growth.

Visualizing

  • playground: Play with neural networks! http://playground.tensorflow.org

  • netron: Visualizer for deep learning and machine learning models https://www.lutzroeder.com/ai

Articles

  • The-Economist: The Economist 经济学人，持续更新

  • nyu-mlif-notes: NYU machine learning in finance notes

  • Using LSTMs to Turn Feelings Into Trades

Chinese

  • Maury Osborne和三文鱼的故事

  • 布朗运动、伊藤引理——细说Black-Scholes公式的前世今生（上篇）

  • 布朗运动、伊藤引理——细说Black-Scholes公式的前世今生（下篇）

  • 趋势策略小试牛刀，海龟交易体系的构建

Others

  • zipline-tensorboard: TensorBoard as a Zipline dashboard http://jimgoo.com/tensorboard-and-zip…

  • gekko-quasar-ui: An UI port for gekko trading bot using Quasar framework.

Other Resource

  • awesome-quant: A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance)

  • awesome-quant-china: Quant resource in china

  • awesome-rl




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